Notes

{"model":"long_nextopen","period":"test","oneway_cost_bp":16,"days":1427,"return_pct":-51.73507572660889,"maxDD_pct":60.169141599781064,"mean_daily_bp":-4.379603598794521,"annualized_sharpe":-0.5785826087774396,"mean_turnover":0.6406163688318725,"break_even_oneway_bp":9.16345349279713,"highvol_days":234,"highvol_mean_daily_bp":-11.44605108347127,"normalvol_mean_daily_bp":-2.993561091322302,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

{"model":"long_nextopen","period":"test","oneway_cost_bp":6,"days":1427,"return_pct":20.48242946153458,"maxDD_pct":30.638462571964364,"mean_daily_bp":2.0265600895242026,"annualized_sharpe":0.2682603496200744,"mean_turnover":0.6406163688318725,"break_even_oneway_bp":9.16345349279713,"highvol_days":234,"highvol_mean_daily_bp":-5.2884868243683325,"normalvol_mean_daily_bp":3.4613639267839287,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"aggregate","signal":"daily","execution":"daily","part":"holdout","trail":false,"slip_bp":10,"return":-6.40607992253901,"drawdown":17.45221501920372,"win rate":25,"sample":4,"mean":-1.4036510510614524,"avg_win":9.496584954658527,"avg_loss":5.037063052968112,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"long_nextopen","period":"test","oneway_cost_bp":0,"days":1427,"return_pct":108.5209634566609,"maxDD_pct":24.17394993573404,"mean_daily_bp":5.8702583025154365,"annualized_sharpe":0.7777571894079609,"mean_turnover":0.6406163688318725,"break_even_oneway_bp":9.16345349279713,"highvol_days":234,"highvol_mean_daily_bp":-1.5939482689065676,"normalvol_mean_daily_bp":7.334318937647668,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"aggregate","signal":"daily","execution":"daily","part":"train","trail":true,"slip_bp":20,"return":-0.9862710551414189,"drawdown":35.26723896006872,"win rate":40,"sample":15,"mean":0.9267903619307427,"avg_win":17.010259919905447,"avg_loss":9.79552267671906,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"long_nextopen","period":"train","oneway_cost_bp":16,"days":1239,"return_pct":-42.059203960358026,"maxDD_pct":71.01411988205983,"mean_daily_bp":-3.5054648129808585,"annualized_sharpe":-0.41632299845051784,"mean_turnover":0.6539656113675676,"break_even_oneway_bp":10.639680203290418,"highvol_days":260,"highvol_mean_daily_bp":9.72835672855192,"normalvol_mean_daily_bp":-7.0200650180866,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"aggregate","signal":"daily","execution":"daily","part":"train","trail":true,"slip_bp":10,"return":2.029153056933608,"drawdown":34.942666299894995,"win rate":40,"sample":15,"mean":1.12884640280757,"avg_win":17.24451516349935,"avg_loss":9.614932770986952,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"long_nextopen","period":"train","oneway_cost_bp":6,"days":1239,"return_pct":30.31562082340189,"maxDD_pct":47.23368714007916,"mean_daily_bp":3.0341913006948174,"annualized_sharpe":0.3605480514339773,"mean_turnover":0.6539656113675676,"break_even_oneway_bp":10.639680203290418,"highvol_days":260,"highvol_mean_daily_bp":16.432922700180818,"normalvol_mean_daily_bp":-0.5242051894648952,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"aggregate","signal":"daily","execution":"daily","part":"train","trail":false,"slip_bp":20,"return":-6.690522832331769,"drawdown":43.63706687537271,"win rate":33.33333333333333,"sample":15,"mean":0.628431415096357,"avg_win":21.040006110526257,"avg_loss":9.577355932618591,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"long_nextopen","period":"train","oneway_cost_bp":0,"days":1239,"return_pct":111.86912248161916,"maxDD_pct":42.1697965941919,"mean_daily_bp":6.957984968900225,"annualized_sharpe":0.8268555170979248,"mean_turnover":0.6539656113675676,"break_even_oneway_bp":10.639680203290418,"highvol_days":260,"highvol_mean_daily_bp":20.455662283158155,"normalvol_mean_daily_bp":3.373310707708129,"mean_gross_exposure":1} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"aggregate","signal":"daily","execution":"daily","part":"train","trail":false,"slip_bp":10,"return":-3.8488194611437376,"drawdown":43.12742441158907,"win rate":33.33333333333333,"sample":15,"mean":0.8298901395684772,"avg_win":21.282328930212653,"avg_loss":9.396329255753608,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"test","oneway_cost_bp":16,"days":1427,"return_pct":-70.74961935749128,"maxDD_pct":72.79720109273885,"mean_daily_bp":-8.46213807344943,"annualized_sharpe":-2.4631756348966833,"mean_turnover":0.5527233041833065,"break_even_oneway_bp":0.6901007983498685,"highvol_days":234,"highvol_mean_daily_bp":-10.014329344172067,"normalvol_mean_daily_bp":-8.157684798219673,"mean_gross_exposure":0.8709899522642088} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"holdout","trail":true,"slip_bp":20,"return":5.83210523239055,"drawdown":19.99037636096377,"win rate":42.857142857142854,"sample":7,"mean":1.004172697799864,"avg_win":6.542782406826649,"avg_loss":3.149784583970225,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"test","oneway_cost_bp":6,"days":1427,"return_pct":-35.60085974524184,"maxDD_pct":42.60979063487112,"mean_daily_bp":-2.9349050316163625,"annualized_sharpe":-0.8542552095802547,"mean_turnover":0.5527233041833065,"break_even_oneway_bp":0.6901007983498685,"highvol_days":234,"highvol_mean_daily_bp":-4.609853406121374,"normalvol_mean_daily_bp":-2.606373665619571,"mean_gross_exposure":0.8709899522642088} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"holdout","trail":true,"slip_bp":10,"return":7.324178328316044,"drawdown":19.830196613578764,"win rate":42.857142857142854,"sample":7,"mean":1.206383658578168,"avg_win":6.756081697529592,"avg_loss":2.9558898706354,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"test","oneway_cost_bp":0,"days":1427,"return_pct":3.379001641382917,"maxDD_pct":14.568300698706393,"mean_daily_bp":0.38143479348347703,"annualized_sharpe":0.1109843020851022,"mean_turnover":0.5527233041833065,"break_even_oneway_bp":0.6901007983498685,"highvol_days":234,"highvol_mean_daily_bp":-1.3671678432909573,"normalvol_mean_daily_bp":0.7244130139404908,"mean_gross_exposure":0.8709899522642088} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"holdout","trail":false,"slip_bp":20,"return":10.971475880480085,"drawdown":19.99037636096377,"win rate":33.33333333333333,"sample":6,"mean":2.019162406864133,"avg_win":12.35705638853285,"avg_loss":3.149784583970225,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"train","oneway_cost_bp":16,"days":1239,"return_pct":-59.26690558408395,"maxDD_pct":65.11986473232494,"mean_daily_bp":-7.130051003396575,"annualized_sharpe":-2.3449620564586313,"mean_turnover":0.5554803146297939,"break_even_oneway_bp":3.1641697903399533,"highvol_days":260,"highvol_mean_daily_bp":0.5831479073845467,"normalvol_mean_daily_bp":-9.17850015232721,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"holdout","trail":false,"slip_bp":10,"return":12.311158737924988,"drawdown":19.830196613578764,"win rate":33.33333333333333,"sample":6,"mean":2.223405383140096,"avg_win":12.58199589069109,"avg_loss":2.9558898706354,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"train","oneway_cost_bp":6,"days":1239,"return_pct":-18.906085421638696,"maxDD_pct":39.23089956666359,"mean_daily_bp":-1.5752478570986361,"annualized_sharpe":-0.5182664914924062,"mean_turnover":0.5554803146297939,"break_even_oneway_bp":3.1641697903399533,"highvol_days":260,"highvol_mean_daily_bp":6.098178210586607,"normalvol_mean_daily_bp":-3.6131342489251566,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"train","trail":true,"slip_bp":20,"return":35.691000143509335,"drawdown":39.521259669027444,"win rate":50,"sample":20,"mean":2.34065368678495,"avg_win":14.009577495622164,"avg_loss":9.328270122052263,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_nextopen","period":"train","oneway_cost_bp":0,"days":1239,"return_pct":22.55416477497465,"maxDD_pct":15.541875258373727,"mean_daily_bp":1.7576340306801261,"annualized_sharpe":0.5781720004523797,"mean_turnover":0.5554803146297939,"break_even_oneway_bp":3.1641697903399533,"highvol_days":260,"highvol_mean_daily_bp":9.40719639250784,"normalvol_mean_daily_bp":-0.2739147068839244,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"train","trail":true,"slip_bp":10,"return":41.22866809168255,"drawdown":38.668600628321805,"win rate":50,"sample":20,"mean":2.545540290535489,"avg_win":14.237825354968484,"avg_loss":9.146744773897506,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_close_reference","period":"test","oneway_cost_bp":16,"days":1428,"return_pct":-75.25692914489868,"maxDD_pct":76.97659654641862,"mean_daily_bp":-9.64331546231696,"annualized_sharpe":-2.9768049225473607,"mean_turnover":0.5523324315661216,"break_even_oneway_bp":-1.459259879007347,"highvol_days":234,"highvol_mean_daily_bp":-12.70004792159186,"normalvol_mean_daily_bp":-9.044257342157554,"mean_gross_exposure":0.8709234236885605} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"train","trail":false,"slip_bp":20,"return":136.35812685995128,"drawdown":26.95129672691681,"win rate":58.82352941176471,"sample":17,"mean":6.159291269799472,"avg_win":16.706979658928297,"avg_loss":8.908835000384565,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars